The relationship between stock returns volatility and trading volume in Nigeria
The relationship between stock returns volatility and trading volume in Nigeria
Author(s): Emenike Kalu O., Opara Confidence ChinweSubject(s): Economy
Published by: Mykolas Romeris University
Keywords: volatility persistence; trading volume; GARCH models; Nigeria stock market
Summary/Abstract: This paper investigates the relationship between stock returns volatility and trading volume in Nigeria using daily All-Share Index and closing trading volume of the Nigerian Stock Exchange for the period of 3 January 2000 to 21 June 2011. The results of GARCH (1,1) and GARCH-X (1,1) models show that the relationship between trading volume and stock returns volatility is positive and statistically significant. However, the results do not support the hypothesis that persistence in volatility disappears with inclusion of trading volume in the conditional variance equation. This finding is consistent irrespective of the distribution.
Journal: Business Systems & Economics
- Issue Year: 2014
- Issue No: 1
- Page Range: 115-124
- Page Count: 11
- Language: English